Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0519
Annualized Std Dev 0.3004
Annualized Sharpe (Rf=0%) -0.1729

Row

Daily Return Statistics

Close
Observations 4526.0000
NAs 1.0000
Minimum -0.3071
Quartile 1 -0.0052
Median 0.0007
Arithmetic Mean 0.0000
Geometric Mean -0.0002
Quartile 3 0.0062
Maximum 0.4262
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0005
Variance 0.0004
Stdev 0.0189
Skewness 0.6861
Kurtosis 90.0453

Downside Risk

Close
Semi Deviation 0.0138
Gain Deviation 0.0154
Loss Deviation 0.0175
Downside Deviation (MAR=210%) 0.0177
Downside Deviation (Rf=0%) 0.0138
Downside Deviation (0%) 0.0138
Maximum Drawdown 0.8483
Historical VaR (95%) -0.0230
Historical ES (95%) -0.0451
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2004-12-28 2020-03-18 NA -0.8483 4086 3832 NA
2004-02-11 2004-05-10 2004-12-21 -0.1704 218 62 156
2003-06-11 2003-08-04 2003-10-14 -0.0838 88 38 50
2004-01-21 2004-01-27 2004-02-10 -0.0381 15 5 10
2003-11-11 2003-11-21 2003-12-02 -0.0322 15 9 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA 0 -0.1 0.1 0.9 0 0.9 0.2 -0.9 0.1 -0.3 0.9
2004 1.3 2.3 0.7 -0.3 -0.5 -0.3 0.7 0.2 0.7 0.2 0.1 -1.9 3.3
2005 0.9 0.3 -0.2 -0.8 -0.1 1.3 0.3 -0.1 0.3 -0.2 0.2 -0.7 1.2
2006 1 -0.1 -0.3 0.6 2.1 0.1 0.3 0.6 0.8 -0.6 0.2 0 4.6
2007 0 0 -0.3 0.2 0.2 1.1 -2 1 -0.1 -1.1 3.4 -0.7 1.6
2008 1.4 -3.7 3.1 0.8 -0.2 0.6 1.1 1.2 3 0 -10.6 5.5 1.3
2009 -3.2 -5.8 2.8 6.6 2.6 3.2 4.7 -0.4 -2.7 -3.4 1.4 0.4 5.6
2010 3.2 1.9 -0.2 1.2 1 -1.6 0.4 2.1 0.1 0.6 0.6 1.4 11.1
2011 0 -0.5 1 -0.1 0 1.1 3.4 0.7 -1.5 -1.1 1.8 0.1 4.9
2012 1.1 0.6 0.8 0.8 -1.3 1.1 0.9 0.8 0 1.6 -0.2 1.9 8.4
2013 0.5 0.2 0 0.8 -0.2 0.4 0.1 0.5 1 0 0.4 0 3.9
2014 -0.5 0.8 0.5 0.6 -0.7 0.3 -1.9 0.3 1.6 0.6 0 3.5 5.1
2015 -0.3 1.1 -0.8 0.1 1.5 2.3 0.7 0.6 -0.7 0.6 1.5 3 10
2016 0.8 3 -0.2 0.3 0.8 0.5 0.9 0 -0.4 -0.9 -0.2 0 4.7
2017 -0.2 0.3 0.6 0.1 0.7 0.4 0.4 0.1 0 -0.1 0.7 0.4 3.6
2018 0 -1 1.1 0.4 0.7 0.9 0.3 0.1 0.6 1.4 -0.3 0.4 4.7
2019 0.3 0.8 1.1 1 -0.7 0.7 0 -0.2 -0.4 1.2 0 0.9 4.9
2020 -0.8 -5.2 -10.4 -2.8 2.3 0.7 2 1.4 1.3 -1.9 -0.2 1.1 -12.6
2021 1.9 2.8 0.9 NA NA NA NA NA NA NA NA NA 5.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-03-27  15.0 SPY    87.2  0.0008   -0.0113   0.047  -0.0247    -0.239   -0.416       NA <NA>     NA    NA       NA
2 2003-03-28  15   SPY    86.7 -0.005    -0.033    0.0281 -0.03      -0.243   -0.422       NA <NA>     NA    NA       NA
3 2003-03-31  15.0 SPY    84.7 -0.0227   -0.0225  -0.0019 -0.0302    -0.260   -0.444       NA <NA>     NA    NA       NA
4 2003-04-01  15.0 SPY    86.0  0.0153   -0.0169   0.0232 -0.0235    -0.245   -0.440       NA <NA>     NA    NA       NA
5 2003-04-02  15.0 SPY    88.1  0.0242    0.0119   0.0649 -0.00120   -0.221   -0.42        NA <NA>     NA    NA       NA
6 2003-04-03  15.0 SPY    87.7 -0.00480   0.0063   0.0509 -0.037     -0.222   -0.419       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart